Stock Market Efficiency, Non-Linearity, Thin Trading and Asymmetric Information in MENA Stock Markets
The concept of market efficiency has been investigated thoroughly in recent years, with most studies focussing on developed economies. Far fewer investigations have been carried out into emerging markets, and results have been mixed. Some emerging markets appear to be weak form efficient whereas others seem to be inefficient. Emerging markets are typically characterised by thin trading and low levels of liquidity as well as, in some cases, ill-informed investors with access to information that is sometimes less than reliable. This might partly explain why some emerging markets are information inefficient. In this paper we investigate stock market efficiency in a group of emerging markets in the Middle East and North Africa (MENA) region. In particular we test the results of Abdmoulah (2010) who finds that the MENA region markets investigated are inefficient and, despite growth in size and the implementation of reforms designed to improve the operation of markets in the region, they exhibit little evidence of evolving market efficiency. This raises the possibility that further reform is necessary. We test for evolving market efficiency using a methodology that extends the approach adopted by Abdmoulah (2010). However, our results are broadly similar.
Volume (Year): 17 (2012)
Issue (Month): 1 (March)
|Contact details of provider:|| Postal: Burton Street, Nottingham, NG1 4BU|
Web page: http://www.economicissues.org.uk
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Cohen, Kalman J, et al, 1980. " Implications of Microstructure Theory for Empirical Research on Stock Price Behavior," Journal of Finance, American Finance Association, vol. 35(2), pages 249-257, May.
- Fama, Eugene F., 1998.
"Market efficiency, long-term returns, and behavioral finance,"
Journal of Financial Economics,
Elsevier, vol. 49(3), pages 283-306, September.
- Eugene F Fama, "undated". "Market Efficiency, Long-Term Returns, and Behavioral Finance," CRSP working papers 448, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Eugene F. Fama, "undated". "Market Efficiency, Long-term Returns, and Behavioral Finance," CRSP working papers 340, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Mohamed A. El-Erian & Manmohan S. Kumar, 1995. "Emerging Equity Markets in Middle Eastern Countries," IMF Staff Papers, Palgrave Macmillan, vol. 42(2), pages 313-343, June.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003. "Modeling and Forecasting Realized Volatility," Econometrica, Econometric Society, vol. 71(2), pages 579-625, March.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," Center for Financial Institutions Working Papers 01-01, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Labys, Paul, 2002. "Modeling and Forecasting Realized Volatility," Working Papers 02-12, Duke University, Department of Economics.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, National Bureau of Economic Research, Inc.
- Shlomo Benartzi & Richard H. Thaler, 1995. "Myopic Loss Aversion and the Equity Premium Puzzle," The Quarterly Journal of Economics, Oxford University Press, vol. 110(1), pages 73-92.
- Shlomo Benartzi & Richard H. Thaler, 1993. "Myopic Loss Aversion and the Equity Premium Puzzle," NBER Working Papers 4369, National Bureau of Economic Research, Inc.
- Abdmoulah, Walid, 2010. "Testing the evolving efficiency of Arab stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 25-34, January.
- Miller, Merton H & Muthuswamy, Jayaram & Whaley, Robert E, 1994. " Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage-Induced or Statistical Illusion?," Journal of Finance, American Finance Association, vol. 49(2), pages 479-513, June.
- Barry Harrison & Winston Moore, 2010. "Nonlinearities in Stock Returns for Some Recent Entrants to the EU," Working Papers 2010/1, Nottingham Trent University, Nottingham Business School, Economics Division.
- Hinich, Melvin J & Patterson, Douglas M, 1985. "Evidence of Nonlinearity in Daily Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(1), pages 69-77, January.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Hawawini, Gabriel & Cohen, Kalman & Maier, Steven & Schwartz, Robert & Whitcomb, David, 1980. "Implications of microstructure theory for empirical research in stock price behavior," MPRA Paper 33976, University Library of Munich, Germany.
- Bradley, Michael D. & Jansen, Dennis W., 2004. "Forecasting with a nonlinear dynamic model of stock returns and industrial production," International Journal of Forecasting, Elsevier, vol. 20(2), pages 321-342.
- Butler, Kirt C. & Malaikah, S. J., 1992. "Efficiency and inefficiency in thinly traded stock markets: Kuwait and Saudi Arabia," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 197-210, February.
- Castle, Jennifer L. & Hendry, David F., 2010. "A low-dimension portmanteau test for non-linearity," Journal of Econometrics, Elsevier, vol. 158(2), pages 231-245, October.
- Jennifer Castle & David Hendry, 2010. "A Low-Dimension Portmanteau Test for Non-linearity," Economics Series Working Papers 471, University of Oxford, Department of Economics.
- Kim, Sei-Wan & Mollick, André V. & Nam, Kiseok, 2008. "Common nonlinearities in long-horizon stock returns: Evidence from the G-7 stock markets," Global Finance Journal, Elsevier, vol. 19(1), pages 19-31. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:eis:articl:112harrison. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dan Wheatley)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.